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LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test


  • Christopher F Baum

    () (Boston College)


lomackinlay computes a overlapping variance-ratio test on a timeseries. The timeseries should be in level form; e.g., to test that stock returns vary randomly around a constant mean, you consider the null hypothesis that the log price series is a random walk with drift. The log price series would then be given in the varlist. If the assumption of homoskedastic errors in the process generating the differenced series is not reasonable, the robust option may be used to calculate a variance ratio test statistic robust to arbitrary heteroskedasticity. This is version 1.0.7, corrected for errors in logic identified by Allin Cottrell and Brian Fryd.

Suggested Citation

  • Christopher F Baum, 2006. "LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test," Statistical Software Components S456740, Boston College Department of Economics, revised 14 Nov 2007.
  • Handle: RePEc:boc:bocode:s456740 Note: This module should be installed from within Stata by typing "ssc install lomackinlay". Windows users should not attempt to download these files with a web browser.

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